It's really as easy as recording the appropriate sounds, putting them in a folder, putting that folder into the UTAU "voice" folder and it should show up.
Then you'll have to either learn to oto yourself or get someone else to help you.
That's an extremely simple explanation. I suggest you visit the tutorial part of the forum or search youtube for more well explained tutorials.
This guide has some useful information you could probably use.
OREMO is a nice program to use for recording since it's easy to save the files in one folder and the sounds you're recording are all right there in a simple reclist.
I suggest
looking at other banks to get an idea on what to record, how it's supposed to sound and whatnot.
Honestly if you can download and use other UTAUs, creating one of your own shouldn't be too hard in theory.
A starting point would be to create a folder to hold all your sound files and start recording the appropriate sounds for the bank you want to create.